This paper examines the impact of naked short selling on equity markets where it is restricted to securities on an approved list. Consistent with Miller's (1977) intuition, stocks with the highest dispersion of opinions and short sale constraints are the only stocks to exhibit significant and...

In 2008 The Hong Kong stock exchange introduced a closing call auction, which was subsequently removed in March 2009 after instances of market manipulation1. This paper examines the impact of the introduction and suspension of the closing call auction on market quality. Our empirical analysis...

This study investigates the determinants of liquidity and execution probability in an operated dark pool. We analyze a unique set of data collated from the Australian Securities Exchange (ASX) that allows the identification trades and orders in its Centre Point dark pool. This study contributes...

This study investigates the impact of introducing a pure pro-rata algorithm on the liquidity of the market for Euribor futures contracts on NYSE LIFFE. Results indicate that the Euribor market experiences deterioration in liquidity: (1) both best and total depth fall and (2) quoted spreads widen...